5 January 2008 Effects of diversification among assets in an agent-based market model
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Proceedings Volume 6802, Complex Systems II; 68020D (2008); doi: 10.1117/12.758912
Event: SPIE Microelectronics, MEMS, and Nanotechnology, 2007, Canberra, ACT, Australia
We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmié et al.1 In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We explore numerically the effect of this diversification as an additional source of complexity in the financial market and we discuss its destabilizing role. We also point out the relevance of these studies for financial decision making.
© (2008) COPYRIGHT Society of Photo-Optical Instrumentation Engineers (SPIE). Downloading of the abstract is permitted for personal use only.
F. Ghoulmié, M. Bartolozzi, C. P. Mellen, T. Di Matteo, "Effects of diversification among assets in an agent-based market model", Proc. SPIE 6802, Complex Systems II, 68020D (5 January 2008); doi: 10.1117/12.758912; https://doi.org/10.1117/12.758912

Statistical modeling

Systems modeling

Data modeling

Instrument modeling

Mathematical modeling

Complex systems


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